Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.

DOI10.1016/S0167-9473(98)00038-3MaRDI QIDQ1274825zbMATH OpenOpenAlexFDO

Authors Siu Hung Cheung, Wai Sum Chan, Ka Ho Wu

Publication date 12 January 1999

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(98)00038-3

zbMATH Keywords

Autoregressive-integrated moving-average modelsMultiple forecastsSimultaneous prediction intervals

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• An upper bound for the probability of a union
• Approximate Simultaneous Prediction Intervals for Multiple Forecasts
• Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
• scientific article; zbMATH DE number 4086818 (Why is no real title available?)
• scientific article; zbMATH DE number 50804 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 838305 (Why is no real title available?)
• Probability Inequalities for Multivariate Distributions with Dependence Structures
• Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities
• Subset complement addition upper bounds. An improved inclusion-exclusion method

Cited in

(7)

• Multiple forecasts with autoregressive time series models: Case studies.
• Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
• A note on simultaneous calibrated prediction intervals for time series
• Sélection d'une méthode de prévision par l'emploi du modèle ARIMA sous-jacent
• scientific article; zbMATH DE number 123751 (Why is no real title available?)
• scientific article; zbMATH DE number 2135707 (Why is no real title available?)
• Prediction intervals in the beta autoregressive moving average model

Describes a project that uses

Uses Software

• QSIMVN
• AS 195
• AS 6
• AS 66

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